Macroeconomic and Financial Risks: A Tale of Volatility

Dario Caldara, Chiara Scotti, and Molin Zhong

We construct indicators of uncertainty and risk using a stochastic volatility VAR that generates comovements in mean and volatility and, therefore, time-variation and asymmetries in the distributions of future macroeconomic and financial variables. The model, estimated with Bayesian techniques and real-time data, points to a rich correlation structure among measures of uncertainty and risk in both macroeconomic and financial conditions. We post quarterly updates on this webpage.

Paper available here. Slides. Cite as:

Citation

DATA Updated quarterly in the week following the advance estimate US GDP growth release.

Figure 1: Conditional Distributions During Covid

• Macro
• Financial

Note: See COVID technical note for additional details. Click and drag a box around an area of the chart to zoom in. Double click to zoom out.

Figure 2: Uncertainty and Risk 1 Year Ahead – Real Time Estimates

• Macro Uncertainty
• Financial Uncertainty
• Macro Risk
• Financial Risk
• Macro Skewness
• Financial Skewness

Note: These figures are the interactive counterparts of Figures 3, 4, and 5 in the CSZ paper. Move the slider below the chart to zoom in on a specific date range.

Figure 3: Posterior Predictive Distributions – Simulated Data

• Stochastic Volatility Model
• Linear Model

Note: These figures are the interactive counterpart of Figure 2 in the CSZ paper. Click and drag to change the chart viewing angle.

Figure 4: Posterior Predictive Distributions – Actual Data

• 2008Q4
• 2018Q1

Note: These figures are the interactive counterpart to Figure 9 in the CSZ paper. Click and drag to change the chart viewing angle.